This is machine translation

Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

Translate This Page

MathWorks Machine Translation

The automated translation of this page is provided by a general purpose third party translator tool.

MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation.

Risk Management
Toolbox Product Description

Develop risk models and perform risk simulation

Risk Management
Toolbox™ provides functions for mathematical modeling and simulation of credit and
market risk. You can model probabilities of default, create credit scorecards, perform
credit portfolio analysis, and backtest models to assess potential for financial loss. The
toolbox lets you assess corporate and consumer credit risk as well as market risk. It
includes an app for automatic and manual binning of variables for credit scorecards. It also
includes simulation tools to analyze credit portfolio risk and backtesting tools to evaluate
Value-at-Risk (VaR) and expected shortfall (ES).

Key Features

Binning Explorer app for developing credit scorecards

Credit risk simulation using copulas

Probability of Default (PD) estimation using Merton model

Concentration risk indices for identifying and controlling large
exposure